离岸与在岸股指期货市场的价格联动关系研究——基于国内股指期货市场受限的实证分析

A Research on the Price Linkage between Offshore and Onshore Stock Index Futures Markets:Empirical Analysis on the Limitation of Domestic Stock Index Futures Market

金融资产的价格发现权是各国经济主权的重要组成部分,关系到市场秩序和国民财富的安全。从历史经验看,一旦在岸市场出现发展迟滞或过度管制等问题,竞争性离岸市场就会利用契机快速发展。以2015年国内股指期货受限事件为自然实验,分析新加坡交易所A50与国内沪深300股指期货的价格联动关系,研究表明:国内市场受限后,A50股指期货的持仓量呈明显上升趋势,承载的避险需求增大,其夜盘和盘前涨跌能有效预测沪深300指数开盘走势;在同步交易时段,沪深300股指期货在价格发现中的贡献度为64.4%,仍明显高于A50股指期货;境内熔断触发后,A50股指期货的成交量没有显著减少,表明在岸市场暂停无法显著制约离岸市场的价格发现能力。

The price discovery power of financial assets is a key component of national economic sovereignty,which is related to the market order and the security of national wealth.From the historical experience,once the development of onshore market is sluggish or over-regulated,the competitive offshore market will take advantage of the opportunity to develop rapidly.Based on the restriction events in domestic stock index futures in 2015 as a natural experiment,this paper analyzes the price linkage relationship between A50 in SGX(Singapore Exchange Ltd)and the domestic CSI 300 stock index futures.The results show that,after the domestic market is limited,the position of A50 stock index futures shows an obvious upward trend,and the demand for hedging increases.The rise and fall of A50 night and pre-market stock index futures trading can effectively predict the opening trend of CSI 300 index.During the synchronous trading period,the contribution of CSI 300 stock index futures in price discovery is 64.4%,which is still significantly higher than that of A50 stock index futures.After the domestic circuit breaker triggers,the trading volume of the A50 stock index futures has not decreased significantly,which indicates that the onshore market suspension can not significantly restrict the price discovery ability of the offshore market.